Stochastic discrete Hamiltonian variational integrators

Variational integrators are derived for structure-preserving simulation of stochastic Hamiltonian systems with a certain type of multiplicative noise arising in geometric mechanics. The derivation is based on a stochastic discrete Hamiltonian which approximates a type-II stochastic generating function for the stochastic flow of the Hamiltonian system. The generating function is obtained by introducing an appropriate stochastic action functional and its corresponding variational principle. Our approach permits to recast in a unified framework a number of integrators previously studied in the literature, and presents a general methodology to derive new structure-preserving numerical schemes. The resulting integrators are symplectic; they preserve integrals of motion related to Lie group symmetries; and they include stochastic symplectic Runge–Kutta methods as a special case. Several new low-stage stochastic symplectic methods of mean-square order 1.0 derived using this approach are presented and tested numerically to demonstrate their superior long-time numerical stability and energy behavior compared to nonsymplectic methods

Stochastic Variational Integrators

This paper presents a continuous and discrete Lagrangian theory for stochastic Hamiltonian systems on manifolds. The main result is to derive stochastic governing equations for such systems from a critical point of a stochastic action. Using this result the paper derives Langevin-type equations for constrained mechanical systems and implements a stochastic analog of Lagrangian reduction. These are easy consequences of the fact that the stochastic action is intrinsically defined. Stochastic variational integrators (SVIs) are developed using a discretized stochastic variational principle. The paper shows that the discrete flow of an SVI is a.s. symplectic and in the presence of symmetry a.s. momentum-map preserving. A first-order mean-square convergent SVI for mechanical systems on Lie groups is introduced. As an application of the theory, SVIs are exhibited for multiple, randomly forced and torqued rigid-bodies interacting via a potential.Comment: 21 pages, 8 figure

New variational and multisymplectic formulations of the Euler-Poincar\'e equation on the Virasoro-Bott group using the inverse map

We derive a new variational principle, leading to a new momentum map and a new multisymplectic formulation for a family of Euler--Poincar\'e equations defined on the Virasoro-Bott group, by using the inverse map (also called `back-to-labels' map). This family contains as special cases the well-known Korteweg-de Vries, Camassa-Holm, and Hunter-Saxton soliton equations. In the conclusion section, we sketch opportunities for future work that would apply the new Clebsch momentum map with $2$-cocycles derived here to investigate a new type of interplay among nonlinearity, dispersion and noise.Comment: 19 page

Algebraic structure of stochastic expansions and efficient simulation

We investigate the algebraic structure underlying the stochastic Taylor solution expansion for stochastic differential systems.Our motivation is to construct efficient integrators. These are approximations that generate strong numerical integration schemes that are more accurate than the corresponding stochastic Taylor approximation, independent of the governing vector fields and to all orders. The sinhlog integrator introduced by Malham & Wiese (2009) is one example. Herein we: show that the natural context to study stochastic integrators and their properties is the convolution shuffle algebra of endomorphisms; establish a new whole class of efficient integrators; and then prove that, within this class, the sinhlog integrator generates the optimal efficient stochastic integrator at all orders.Comment: 19 page

New Langevin and Gradient Thermostats for Rigid Body Dynamics

We introduce two new thermostats, one of Langevin type and one of gradient (Brownian) type, for rigid body dynamics. We formulate rotation using the quaternion representation of angular coordinates; both thermostats preserve the unit length of quaternions. The Langevin thermostat also ensures that the conjugate angular momenta stay within the tangent space of the quaternion coordinates, as required by the Hamiltonian dynamics of rigid bodies. We have constructed three geometric numerical integrators for the Langevin thermostat and one for the gradient thermostat. The numerical integrators reflect key properties of the thermostats themselves. Namely, they all preserve the unit length of quaternions, automatically, without the need of a projection onto the unit sphere. The Langevin integrators also ensure that the angular momenta remain within the tangent space of the quaternion coordinates. The Langevin integrators are quasi-symplectic and of weak order two. The numerical method for the gradient thermostat is of weak order one. Its construction exploits ideas of Lie-group type integrators for differential equations on manifolds. We numerically compare the discretization errors of the Langevin integrators, as well as the efficiency of the gradient integrator compared to the Langevin ones when used in the simulation of rigid TIP4P water model with smoothly truncated electrostatic interactions. We observe that the gradient integrator is computationally less efficient than the Langevin integrators. We also compare the relative accuracy of the Langevin integrators in evaluating various static quantities and give recommendations as to the choice of an appropriate integrator.Comment: 16 pages, 4 figure

The Magnus expansion and some of its applications

Approximate resolution of linear systems of differential equations with varying coefficients is a recurrent problem shared by a number of scientific and engineering areas, ranging from Quantum Mechanics to Control Theory. When formulated in operator or matrix form, the Magnus expansion furnishes an elegant setting to built up approximate exponential representations of the solution of the system. It provides a power series expansion for the corresponding exponent and is sometimes referred to as Time-Dependent Exponential Perturbation Theory. Every Magnus approximant corresponds in Perturbation Theory to a partial re-summation of infinite terms with the important additional property of preserving at any order certain symmetries of the exact solution. The goal of this review is threefold. First, to collect a number of developments scattered through half a century of scientific literature on Magnus expansion. They concern the methods for the generation of terms in the expansion, estimates of the radius of convergence of the series, generalizations and related non-perturbative expansions. Second, to provide a bridge with its implementation as generator of especial purpose numerical integration methods, a field of intense activity during the last decade. Third, to illustrate with examples the kind of results one can expect from Magnus expansion in comparison with those from both perturbative schemes and standard numerical integrators. We buttress this issue with a revision of the wide range of physical applications found by Magnus expansion in the literature.Comment: Report on the Magnus expansion for differential equations and its applications to several physical problem